Methodology
Calendar vs diagonal spreads
Same family, different exposure profile. How vega, delta, and capital usage differ — and how each is ranked.
Two structures, one family
Calendars and diagonals are both two-leg time-spread structures: short an option in one expiration, long an option in another. The difference is whether the strikes match. Calendars use the same strike on both legs; diagonals use different strikes. That single distinction changes the position's vega, delta, and capital profile materially, which is why Voleron ranks them on separate scanner pages with separate methodologies.
Vega exposure
A calendar spread is typically long vega — the back-month long leg has more vega than the front-month short leg. The position benefits from a rise in implied volatility and is harmed by a drop. A diagonal can be long or short vega depending on strike selection and the term-structure shape, which is why diagonal evaluation requires position-level Greek aggregation rather than per-leg metrics.
Delta exposure
Calendar deltas at the strike are typically near zero at entry; diagonals carry a non-trivial delta determined by strike selection. The Voleron diagonal scanner reports the position-level delta band so directional bias is explicit. The calendar scanner does not surface delta as prominently because, by construction, well-formed calendars are close to delta-neutral at initiation.
Capital usage
Both structures are debit positions — capital required equals the net premium paid. But the relative cost of each leg differs: a diagonal's longer-dated long leg can be substantially more expensive than the front-month short leg's credit, while a calendar's two legs are closer in cost. Voleron normalizes capital required at the position level so both can be ranked on a consistent capital-efficiency basis.
Liquidity considerations
Both legs of a calendar must be liquid for the position to be tradable, and the same is true for a diagonal. Generic screeners often check liquidity on the front leg only; Voleron requires liquidity on both legs before admission to either scanner. Back-month liquidity is the more common point of failure, especially on names with concentrated volume in the front month.
When the model prefers each
The composite ranking does not declare one structure superior to the other in general. It surfaces which structure is ranked higher on a specific underlying given current term-structure shape, current volatility level, and the upcoming event calendar. On the same name, the calendar scanner and the diagonal scanner can produce different rankings — that is by design, and the user picks the structure that fits the intended exposure.